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Macroeconomic effects of quantitative and qualitative monetary easing measures

Junko Koeda

Journal of the Japanese and International Economies, 2019, vol. 52, issue C, 121-141

Abstract: We estimate a structural vector autoregressive model with an effective lower bound of nominal interest rates (ELB) using Japanese macroeconomic and financial data from the mid-1990s to the end of 2016. The estimated results show that the Bank of Japan's quantitative and qualitative easing (QQE) policy increased output via “pure” quantitative easing when the first-year's QQE level effect was controlled, complemented by qualitative easing. Our nonlinear counter-factual analyses show that raising the ELB or lowering an inflation threshold in forward guidance is not necessarily contractionary.

Keywords: Effective lower bound of nominal interest rates; Quantitative and qualitative monetary easing policy; Forward guidance; Structural vector autoregression; Maximum likelihood (search for similar items in EconPapers)
JEL-codes: E58 E52 C32 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Macroeconomic Effects of Quantitative and Qualitative Monetary Easing Measures (2018) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:52:y:2019:i:c:p:121-141

DOI: 10.1016/j.jjie.2018.12.006

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